My idea with megacorps having their own governments was that if you steal something valuable (like a prototype computer), you can escape onto a different megacorp's property and not be followed without causing what amounts to an international incident
Yes, I was thinking of our characters being a team of freelance criminals who work for the highest bidder. Our characters would basically be deniable assets, the people hiring them could disavow any knowledge of our actions if we are caught.